Step-Down diagnostic analysis for monitoring the covariance matrix of bivariate normal processes

DOI10.1080/03610918.2018.1458137OpenAlexW2801379595MaRDI QIDQ5087536

Sueli A. Mingoti, Letícia P. Pinto

Publication date: 1 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1458137

zbMATH Keywords

covariance matrixMonte Carlo simulationstep-down testVMAXbivarite normal distributionVMIX

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• More powerful tests for sparse high-dimensional covariances matrices
• Tests for covariance matrices in high dimension with less sample size
• Optimal hypothesis testing for high dimensional covariance matrices
• An exact test about the covariance matrix
• A New Chart for Monitoring the Covariance Matrix of Bivariate Processes
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